This plug-in implements the Jarrow-Lando-Turnbull (JLT) model which may be used to price bonds with default risk, i.e., bonds for which there is the possibility that the issuer does not honour the schedule of payments. From risky zero coupon bond prices, one can calculate credit spreads. JLT is a reduced-form model, i.e., it models the credit migration process (which is the driver of the credit risk) through a Markov Chain with the default state being absorbing.

Fairmat ESG enable finance and actuarial insurance companies risk management teams to be independent in calculating the market consistent risk-neutral and real-world economic scenarios for zero coupon bonds (ZCB), Inflation Rates, defaultable bonds / credit spreads and baskets of equities and indices (prices and dividends are simulated);The theoretical models are calibrated automatically, as the estimates of the risk premium and correlation, when Fairmat Professional is connected to a market data provider (i.e. Bloomberg Professional Desk, Fairmat Data Provider) or, alternatively, models calibrations may be also provided by Fairmat as a service.

This plug-in provides historical calibration capabilities for the Ornstein-Uhlenbeck / Vasicek (one-factor mean reverting and log-mean reverting) models. Mean reverting and log-mean reverting models can be used to model sever underlying such as commodity prices and also dividend yields evolution.

Provides several calibration strategies for the GBM models (using historical series and quoted options) and also includes the multivariate GBM stochastic process which simplifies the modeling of contracts linked to the performance of several equities. Aside equities modeling, it allows to model FX rates as GBM models.

Provides access to Yahoo! Finance Market Data. In particular it allows the retrieval of equity historical series and option chains of stocks belonging to several markets simply by specifying the symbol name (i.e. AAPL, GOOG, etc).

Provides access to MEFF (IBEX) Market Data. it allows the retrieval of equity historical series and option chains of securities listed in the MEFF Spanish market. Historical option chains are also available.

The Variance Gamma (VG) is a mathematical model for simulating stock prices. The model is both simple and robust and it is a very good alternation to the existing models like Heston stochastic volatility model and Black-Scholes model which may be biased when applied to real market circumstances. The calibration procedure is based on closed form calculation of European options.

The IAS 39 accounting rules disciplines the representation and the valuation of financial instruments on the balance sheet. A fundamental principle in IAS is that all derivatives are measured at fair value; the IAS 39 principles introduce relevant advances in the hedging instruments accounting ("Hedge Accounting''). This plug-in implements IAS 39 principles in Fairmat allowing the calculation of the prospective and retrospective tests and the straightforward creation of hedge accounting reports for all the financial contracts which can be modelled with Fairmat.